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Risk Curve and Bifuzzy Portfolio Selection

DOI: 10.5539/jmr.v1n2p193

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Abstract:

In order to solve the portfolio problem when security returns are bifuzzy variables, firstly we propose a new definition of risk, then one type of portfolio selection based on expected value and risk is provided according to bifuzzy theory. Furthermore, a hybrid intelligent algorithm by integrating bifuzzy simulation and genetic algorithm is designed. Finally, one numerical experiment is provided to illustrate effectiveness of the hybrid intelligent algorithm.

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